Tra regolamentazione e vigilanza: la partita ancora aperta sui NPL
di Carlo Milani

Articolo

Apr 10 2018
Tra regolamentazione e vigilanza: la partita ancora aperta sui NPLdi Carlo Milani

La Vigilanza bancaria della Banca Centrale Europea (BCE), dopo una consultazione pubblica durata alcuni mesi, ha recentemente varato il cosiddetto addendum al regolamento sulle linee guida in tema di crediti deteriorati (NPL).

Scopo dell’addendum è quello di delineare dei livelli minimi di accantonamento che prudenzialmente le banche sottoposte alla vigilanza diretta della BCE, ovvero quelle di maggiore dimensione, dovrebbero avere.

Nello specifico, questi livelli minimi sono definiti sulla base di due parametri: i) l’anzianità del credito deteriorato, ovvero da quanto tempo la banca ha riconosciuto il credito come non performante; ii) la presenza o meno di garanzie reali (figura 1).

Figura 1

Fonte: BCE (2018).

Per i crediti su cui la banca non vanta alcuna garanzia reale l’addendum richiede di raggiungere un livello di accantonamento pari al 100% dell’importo del credito deteriorato entro 2 anni dalla sua iscrizione nel portafoglio dei finanziamenti deteriorati. Gli impieghi su cui è presente una garanzia reale devono invece raggiungere una copertura del 100% entro sette anni.

L’addendum specifica inoltre che il raggiungimento del livello minimo di copertura dovrà avvenire in modo graduale e che si applicherà a tutti i crediti definiti come deteriorati a partire dal 1° aprile 2018. L’applicazione di questi nuovi criteri avverrà però solo a partire dallo SREP (Supervisory Review and Evaluation Process) del 2021.

Va comunque aggiunto che essendo un regolamento, e non una norma di legge, i vincoli imposti dall’addendum non possono essere applicati attraverso automatismi. Rispetto all’iniziale proposta la BCE ha in definitiva alleggerito il suo intervento, concedendo alle banche interessate circa tre anni per conformarsi ai nuovi standard e chiarendo che la valutazione avverrà caso per caso. Alcune banche potranno quindi discostarsi dai livelli minimi richiesti se riusciranno a dimostrare, ad esempio, che la loro migliore capacità di recupero degli NPL.

Si può quindi confermare la stima d’impatto per gli istituti operanti in Italia, pubblicata nell’aggiornamento al Rapporto Banche CER (2017), pari a circa 13 miliardi di euro (tabella 1). Cambia però il periodo di diluizione degli effetti, che passa dai precedenti 7 agli attuali 10 anni.

Tabella 1. Impatto dell’addendum BCE

Prestiti di famiglie e imprese (ago-17)

    1.352,4
– in bonis    1.104,3
– sofferenze o probabili inadempienze       248,1
Deteriorati attesi nel 2018          33,9
– con garanzie reali          13,0
– non garantiti          20,9
Accantonamenti attesi secondo le coperture vigenti          18,6
Maggiori accantonamenti derivanti dall’addendum          13,4

Fonte: elaborazioni e stime CER su dati Banca d’Italia. Dati in miliardi di euro

Contestualmente all’addendum la Commissione Europea (2018) ha presentato una proposta di modifica delle regole comunitarie sui requisiti prudenziali degli istituti di credito in tema di NPL. La ratio della proposta della Commissione è analoga a quella dell’addendum. Si vuole infatti evitare che in futuro si possano accumulare NPL con tassi di copertura non adeguati. BCE e Commissione hanno un obiettivo comune, evitare che tra le banche europee prevalga la strategia del “wait-and-see”. In altri termini, i manager hanno un incentivo nel mantenere in bilancio gli NPL in attesa che il contesto macroeconomico e finanziario divenga più favorevole al fine di non dover subire, nel breve termine, contraccolpi sul conto economico. Così facendo si mette però a repentaglio la stabilità di lungo termine e si compromette anche la capacità di continuare ad erogare credito. L’esempio giapponese è al riguardo molto eloquente: la crisi bancaria che colpi il paese negli anni ’90 fu infatti affrontata dalle autorità nipponiche consentendo a molte banche di continuare ad operare senza riconoscere le ingenti perdite registrate ed evitando così il default (cosiddette “zombie banks”). La conseguenza fu il perdurare del fenomeno del credit crunch, con effetti negativi sulla crescita economica di breve e di medio-lungo termine. Fenomeni si sono verificati in Svezia e in Corea del Sud (grafico 1).

Grafico 1. Effetti delle crisi bancarie sulla crescita economica

Anche sugli aspetti tecnici ci sono delle similitudini: entrambi gli interventi puntano a una copertura totale dei crediti non garantiti entro 2 anni, mentre su quelli garantiti la proposta della Commissione concede un anno in più (8 invece dei 7 dell’addendum). Se questi sono gli aspetti in comune, le differenze più rilevanti riguardano invece il perimetro di applicazione: i) le modifiche proposte dalla Commissione si applicheranno a tutte le banche europee, quindi anche a quelle di minore dimensione; ii) i nuovi vincoli riguarderanno solo i nuovi crediti erogati a partire da marzo 2018 divenuti successivamente deteriorati. La proposta della Commissione, qualora il Parlamento Europeo la accettasse così come è stata formulata, avrà nel complesso un impatto ben più contenuto sui conti bancari.

Elemento debole di entrambi gli interventi è il mancato coordinamento. La BCE sembra voler agire con maggior decisione, mentre la Commissione propende in un approccio più graduale. In questo scontro hanno probabilmente entrambe torto. L’eccessivo pugno duro della BCE, in assenza di una Banking Union completa di tutti i suoi pilastri, e in particolare senza un fiscal backstop e l’assicurazione sui depositi, rischia di destabilizzare alcuni sistemi bancari, soprattutto dei paesi periferici. Dall’altro lato, l’approccio soft della Commissione, le ostilità di alcuni paesi nel portare a compimento la Banking Union e la scarsa attenzione dedicata ai rischi di mercato possono favorire l’azzardo morale e creare le basi per una futura crisi finanziaria di portata sistemica.

Relativamente ai rischi di mercato bisogna rimarcare come BCE e Commissione tendano a sottovalutare l’impatto destabilizzante dei titoli level 3 (si veda al riguardo Barucci, Baviera e Milani, 2018) e dei derivati, attività finanziarie che abbondano nei bilanci di alcuni istituti di credito operanti nei paesi nordici. In tal modo perdura e si aggrava un’asimmetria di trattamento tra rischio di credito e rischio di mercato (CER, 2018). Tale asimmetria discrimina tra sistemi nazionali, rende più conveniente per le banche l’assunzione di rischi finanziari rispetto all’attività creditizia, e lascia non adeguatamente presidiato proprio il fattore di rischio che nel 2007/2008 ha innescato la crisi finanziaria.

Grafico 2

Conclusioni

In definitiva, e a distanza di 10 anni dallo scoppio della crisi internazionale, manca ancora una visione complessiva di come affrontare, nell’interesse dell’Europa intera, i problemi finanziari ancora aperti. Al riguardo va notato come le banche statunitensi, pur avendo subito forti contraccolpi all’avvio della crisi finanziaria, oggi hanno recuperato quasi interamente il terreno perso sui mercati azionari (grafico 2). La pronta reazione del governo Usa, in assenza di problemi di coordinamento tra le diverse nazioni che compongono lo Stato federale, può spiegare buona parte di questo successo.

 

Riferimenti

Barucci, Emilio, Baviera Roberto, and Milani Carlo. “The Comprehensive Assessment: What lessons can be learned?.” The European Journal of Finance (2018): 1-19.

BCE, Addendum to the ECB Guidance to banks on non-performing loans: supervisory expectations for prudential provisioning of non-performing exposures, marzo 2018.

CER, Addendum sui crediti deteriorati: quali effetti per le banche italiane?, Aggiornamento Rapporto Banche, ottobre 2017.

CER, Rapporto Banche 2/2017, gennaio 2018.

Commissione Europea, Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on amending Regulation (EU) No 575/2013 as regards minimum loss coverage for nonperforming exposures, marzo 2018.

BIS: Central Bank Digital Currencies and Financial Stability

News

Apr 06 2018

The Bank for International Settlement (BIS)  recently completed work on central bank digital currencies (CBDCs), analysing their potential implications for payment systems, monetary policy implementation and transmission as well as for the structure and stability of the financial system. We summarize here the main findings of the survey.

CBDC is a potential new form of central bank money which stays separated from reserves held by commercial and/or central banks. It can be designed by blending a different shade of several characteristics, including access (more or less restricted), degree of anonimity, operational availability and the possible bearing of interest.The report concentrates on two “prototype” CBDC, a wholesale (accessible by a restricted and predefined group of users) and a general one accessible to the majority of people.

Traditionally, central banks have, for various reasons, tended to limit access to digital account-based forms of central bank money to banks and to other financial or public institutions, while physical central bank money is widely accessible. This approach has, in general, served its scopes: the (currently) proposed implementations for a wholesale CBDC would then look similar (and not superior) to existing infrastructures.

Some central banks are analysing a CBDC that could be made widely available to the general public and serve as an alternative safe, robust and convenient payment instrument. In circumstances where the traditional approach to the provision of central bank money – in physical form to the general public and in digital form to banks – was altered by the disappearance of cash, the provision of CBDC could bring substantial benefits.

Issuance of a CBDC would probably not alter the basic mechanics of monetary policy implementation, including central banks’ use of open market operations. CBDC introduces a new type of central bank money whose demand – like cash – would need to be accommodated. CBDC would also not necessarily affect the discretion that central banks have in choosing their monetary policy implementation techniques (eg reliance on purchases of securities or credit operations with banks) as well as the maturity, liquidity and credit risk of their assets.

CBDC could enrich the options offered by the central bank’s monetary policy toolkit, eg by allowing for a strengthening of pass-through of policy rate changes to other interest rates or addressing the zero lower bound (or the even lower, effective bound) on interest rates. Other more conventional tools and policies can to some extent achieve similar outcomes without introducing new risks and challenges (such as implementing negative interest rates on public holdings of a general purpose CBDC).

  Implications are more pronounced for monetary policy transmission and financial markets, especially if a CBDC was to be designed as, or de facto became, an attractive asset. As a liquid and creditworthy asset, a wholesale variant available to institutional investors that would be akin to interest-bearing central bank reserves or reverse repo facilities, yet widely tradeable, could function as a safe asset comparable in nature to short maturity government bills. A general purpose variant could compete with guaranteed bank deposits, with implications for the pricing and composition of banks’ funding.

Introducing a CBDC could also result in a wider presence of central banks in financial systems. This, in turn, could mean a greater role for central banks in allocating economic resources, which could entail overall economic losses should such entities be less efficient than the private sector in allocating resources. It could move central banks into uncharted territory and could also lead to greater political interference.

A general purpose CBDC could however give rise to higher instability of commercial banks deposit funding. Even if designed primarily with payment purposes in mind, in periods of stress a flight towards the central bank may occur on a fast and large scale, challenging commercial banks and the central bank to manage such situations.

The report concludes that any steps towards the possible launch of a CBDC should be subject to careful and thorough consideration. Further research on the possible effects on interest rates, the structure of intermediation, financial stability and financial supervision is indeed warranted. The effects on movements in exchange rates and other asset prices remain largely unknown and also deserve further exploration.

As a general judgment, digital currencies’ volatile valuation and inadequate investor and consumer protection, make them unsafe to rely on as a common means of payment, a stable store of value or a unit of account.

BIS Central bank digital currencies (PDF)

IOSCO: improve transparency in corporate bond markets

News

Apr 06 2018

The Board of the International Organization of Securities Commissions (IOSCO) published today its recommendations for improving the information on secondary corporate bond markets available to both regulators and the public.

The recommendations seek to ensure that regulators have better access to information so they can perform their functions more effectively, and to enhance cross-border information sharing and understanding. The transparency recommendations aim to support the price discovery process and facilitate better informed investment choices.

Updating IOSCO ́s 2004 report on Transparency of Corporate Bond Markets, the Regulatory Reporting and Public Transparency in the Secondary Corporate Bond Markets report makes seven recommendations that emphasize the importance of ensuring the availability of information to regulators, through reporting, and to the public, through transparency requirements.

The report recommends that regulatory authorities should ensure that they have access to sufficient information to perform their regulatory functions effectively. In addition, it recommends regulatory authorities should have clearer regulatory reporting and transparency frameworks to facilitate better cross- border understanding of corporate bond markets.

The report also recommends that regulatory authorities should consider steps to enhance pre-trade transparency in corporate bond markets and implement regimes that require post-trade transparency.

Regulatory Reporting and Public Transparency in the Secondary Corporate Bond Markets (PDF)

EBA Risk Dashboard Update for Q4-2017

News

Apr 06 2018

The European Banking Authority (EBA) published today the regular update of its Risk Dashboard summarising the main risks and vulnerabilities in the EU banking sector for Q4 2017.

The figures included in the Risk Dashboard are based on a sample of 149 banks, covering approximately 90% of the EU banking sector (by total assets), at the highest level of consolidation, while country aggregates may also include large subsidiaries.

The progress is positive for European banks, but risks remain heightened on sustainable profitability. Following the ESRB recommendation on commercial real estate markets, the EBA’s Risk Dashboard has an additional page showing the aggregated real estate exposures referred to real estate activities and the construction sector.

  • European banks continued to strengthen their capital ratios in the last quarter of 2017.               The CET1 ratio increased by 20 bps, from 14.6% in Q3 2017 to 14.8% in Q4 2017, reaching a new peak since Q4 2014. CET1 ratios are now above 11% for all institutions in the sample. The increase of capital ratios was driven by a decrease of the total risk exposures amount (mostly for credit risk).
  • EU banks continued to improve the overall quality of their loans’ portfolio.                                       In Q4 2017, the average ratio of non-performing loans (NPL) to total loans continued its downward trend, reaching its lowest level since Q4 2014 (4.0%). This result is explained by an increase in the outstanding volume of loans granted and a decrease in the overall amount of NPLs by over 1/3 in 3 years, from over 1.12 trillion Euros to 813 billion Euros. Nevertheless, the widespread dispersion among EU countries (with ratios ranging from 0.7% to 44.9%), along with the still high amount of NPLs in banks’ balance sheet, remains a vulnerability for the European banking sector as a whole.
  • Profitability remains the key challenge for the EU banking sector.                                                         The average return on equity (ROE) decreased from 7.2% (Q3 2017) to 6.1% in Q4 2017, showing its usual end-of-year seasonality. The average ROE rose by 2.8 p.p. from its lowest level of 3.3% in Q4 2016, mainly driven by the annual increase in net trading income (8.5% in Q4 2017). However, the return on equity remains below the cost of equity with legacy assets, cost-efficiency and banks’ business models still being some of the main obstacles towards reaching sustainable profitability levels.
  • Loan-to-deposit ratio continued to decrease.                                                                                        The LtD ratio reached 116.7% with a 50 bps decline from the previous quarter, mainly driven by an increase in deposits. The leverage ratio remained broadly stable, increasing by 10 bps to 5.5%.

 
EBA Risk Dashboard Update – Q4 2017 (PDF)

EBA Risk Dashboard Update – Data Download (XLSX)

EBA: assessment of the current CRM framework

News

Apr 05 2018

The European Banking Authority (EBA) published a report assessing the current Credit Risk Mitigation (CRM) framework. This is the fourth (and last) phase of the EBA’s supervisory roadmap of the internal rating-based (IRM) approach. The report includes also clarifications both on the definition and the modeling approaches of credit risk, untying along the review of the old supervisory practices.

The Report elucidates the application of the Capital Requirements Regulation (CRR) regarding CRM by mapping the techniques, eligibility and method that are available to the institutions both under the Standardized Approach and the Foundation-IRB approach. The report highlighted the need for further guidance in the application of the CRM procedure under the Advanced-IRB (A-IRB) Approach.

This need agrees with the feedback received from the industry: a set of guidelines detailing the use of current CRM provisions for A-IRB banks would be particularly useful to help eliminate the remaining significant differences in approaches in the area of CRM either due to different supervisory practices or bank-specific choices.

The mandates for technical standards in the CRM area include three different Regulatory Technical Standards (RTS): the recognition of conditional guarantees RTS, the liquid assets RTS and the internal models approach for master netting agreements RTS. The European Banking Authority states that such mandates cover only peculiar aspects of the regulatory framework, which are not expected to have a significant impact on the calculation of capital requirements for credit risk by institutions nor on their rating systems. Fulfilling these three mandates, instead of undertaking an analysis of the overall CRM framework, would run the risk of having disproportionate regulation with limited benefits.

Specifically on the RTS on liquid assets mandate, the EBA recommends this be deleted from the CRR, while on the other two RTS, the EBA will be continuously monitoring the need to deliver on these mandates also in light of international developments in this regulatory area.

EBA: report on Credit Risk Mitigation Framework (PDF)

Review of the SCR calculation under SF
di Silvia dell’Acqua

Articolo

Apr 05 2018
Review of the SCR calculation under SFdi Silvia dell’Acqua

The European Commission expressed its intention to review the Solvency Capital Requirement (SCR) calculation under the Standard Formula (SF) before December 2018.

To answer this need, at the beginning of 2017 EIOPA launched a dedicated project aimed at looking for possible simplifications in the SCR calculation, ensuring a proportionate and technically consistent supervisory regime.

The final set of advises was submitted by the Authority to the European Commission last 28 February 2018. Among the relevant items quoted in the set of final advises we have:

  • the mortality and longevity risk calibration                                                                                        differently from what communicated in the consultation paper, EIOPA confirms both the longevity (20%) and the mortality (15%) risk parameter stresses, without increasing the risk granularity
  • the interest rate risk sub-module  EIOPA confirms that current formula should be amended and, differently from what communicated in the consultation paper, advises to adopt a relative shift approach, with parameters that vary in function of the maturity (m)

As the impact of this new methodology is material for the undertaking exposed to the low yield environment (expected decrease of -14% of the Solvency Ratio), EIOPA suggests to gradually move towards the new approach in case of downward shocks, calculating a capital requirement base on a stressed yield curve that will be coincide with the one of the new calculation in the next 3 years, decreasing by j/3 of the difference (new-current) each year j.

Differently from what communicated in the consultation paper, EIOPA confirms both the longevity (20%) and the mortality (15%) risk parameter stresses. Indeed, while the stakeholders agreed on the assessment carried out by the Authority on the longevity risk, they criticised the methodology proposed for the mortality one: as the uncertainty increases over time, the translation of changes in life expectation into instantaneous levels of shocks overstates the value for short durations, penalizing contract with shorter term compared to those lasting for the whole life of the insured. EIOPA agrees with this feedback from the industry, given the simplifications applied to the approach and the results obtained looking at a more granular level.

Given the mixed feedback received on granularity, EIOPA suggests maintaining its advice of having a unique stress applied to all the age groups. This allows to both save implementation costs and not add complexity (because of the interaction with the BE model points).

The life underwriting risk module should reflect, at least, the risk of increased insurance liabilities values resulting from changes in level, trend or volatilities of mortality rates, where an increase/decrease (mortality/longevity risk) of these rates leads to an increase in the value of the insurance liabilities. The losses resulting from changes in the level of mortality rates can be captured by the use of the best estimate mortality tables, while those resulting from changes in the trend can be considered via using the estimated trend for the forecast and development of future cohort mortality tables. Mortality sensitivities can be measured by changes in life expectancies, which can be captured using a stochastic mortality model. EIOPA made use of the Lee-Carter (LC) and Cairns-Blake-Dowd (CBD) models, calibrated to data sourced from the Human Mortality Database (HMD) – no other specific national database was used.

More than the 80% of the EEA population was considered in the calibration, using data from Belgium, Denmark, France, Germany, Greece, Italy, Netherlands, Poland, Spain, Sweden and UK, tracked over the period 1985 – 2013/14/15 (depending on the availability in the HMD; Germany data have only been taken after the reunion dated 1990). The mortality table were extrapolated up to 120 years using the Kannisto rule. As EIOPA does not have access to insured population data, the Authority made the hypothesis that the mortality rates are the same as the one of the general population; there is no consensus on whether these should be higher or lower: in general, insured people are wealthier and should leave longer, but on the other hand some claim that the recent improvements in mortality benefit mainly the general population.

Based on the parameters estimates for each model and country, EIOPA simulated 5000 cohort mortality tables, deriving the life expectancy for each age and time (average value and 0.50% – 99.50% quantiles) and calculating the appropriate shocks to apply to the mortality rates to match

where the expected shocked life expectancy is defined asEIOPA then combined the different shocks into a weighted average over all the countries and later between the two models (LC and CBD). This methodology undergoes thee simplifications:

  • the analysis is based on the general population of 11 countries rather than on their insured population
  • it does not consider events that do not belong to the dataset, e.g. new cures
  • the stresses defined are “equivalent stresses”, applied to all mortality rates of an insured person over the projection. They should instead depend on the age and calendar year of the projection.

 

Given this outcome and looking at an age close to 60 years, EIOPA initially proposed to confirm the longevity stress (20%) and to review the mortality one (from 15% to 25%) but then went back on its steps, confirming the mortality one too.

The Authority came up to this decision because of the degree of uncertainty due to the model simplifications and because of the results obtained using a more granular approach: a stress of 25% is too high when short durations (remaining term to maturity) are considered

 

To make these calculation EIOPA has considered the age dependent shocked temporarily like expectancy

optimizing the stress h for each age x and horizon n.

 

The review of the interest tare risk module is an EIOPA own initiative, driven by the questionable appropriateness of the current approach that is not suitable anymore to represent the real 1 in 200 years shock event: due to the relative calculation of the shocks, the absolute one becomes smaller with decreasing rates and negative rates are not even stressed. This view is shared by the NSAs, that already suggested to review the formula back in 2016, in response to a questionnaire sent by EIOPA.

Although some stakeholders pointed out that the review of the interest risk module should go in hand with the review of the Ultimate Forward Rate (UFR) and the correlation of the entire market risk module, EIOPA prefers to focus on resolving the issues identified, recognizing the importance to define adequate shocks, without waiting until 2020, when the LTG package will be reviewed. EIOPA confirms that no extrapolation toward the UFR is needed on the stressed yield curves (it would increase the complexity, putting the stakeholders in charge of the calculation, without producing appropriate stresses beyond the LLP; furthermore, long term expected rates also change with a changing economic environment). To calibrate the models, EIOPA used its historical risk free data, that cover the period 04.01.1999 up to 2018, containing interest rate values belonging to different environments.

In the consultation paper EIOPA tested three approaches [see Dell’Acqua Silvia, “EIOPA consults on the advices for the SCR review under SF”]:

  1. symmetric 200 bps minimum shock with a static interest rate floor
  2. combined approach
  3. shifted approach

concluding that [C] was not appropriate and proposing one of the other two. Most stakeholders disagreed with EIOPA, commenting that:

  1. is too simplistic and massively overestimates the risk in the low yield environment; in addition, the derivation of the lower bound is questionable (e.g. why not derive it based on the cost of holding cash?)
  2. is too complex for the SF and lacks an economic rationale (expert judgement needed); furthermore, because of the min/max operators, the implied forward rates exhibit an erratic behaviour, which makes the calibration of Interest Rate models within the ESG quite challenging
  3. is suitable, simple, data driven, economically sound and risk sensitive.

In light of the comments received, EIOPA proposes to use the shifted approach, revising its calibration. The idea of the shifted approach is to shift the x-axis upwards, apply a relative stress and shift the x-axis downwards by the same shift amountthe equation can be re-written asthat can be also re-written into its final form

whose parameters values are reported in the table below. The values corresponding to maturities not specified shall be either interpolated or set equal to those corresponding to the min/max maturity specified:

EIOPA reviewed the calibration, proposing that

  • the shift parameter shall be different for upward and downward stresses
    • for upward stresses, a constant value of 3.5% is adopted, being
      • close to the one (3.1%) calculated minimizing the differences of the stresses yield curve under the current SF
      • in line, in terms of resulting stresses, with those of 14 different internal models
    • for downward stresses, a maturity dependent (m) parameter is adopted being
      • economically justified because the lower interest rates have been observed for short maturities
      • in line with the hypothesis made by some internal model users
    • once the shift parameters are determined, the shifted historical time series can be computed and the annual rolling relative changes derived, giving origin to the relative stress factors, calibrated with a Principal Component Analysis on non-standardized data (they could also be determined as the empirical 0.50% and 99.50% realizations, but the PCA analysis seems more appropriate to capture the high correlation within the data)
    • the last calibration step is to select and aggregate a representative data set, needed because the SF defines on single calibration, independent of the currency.

Banca d’Italia: Revisione disposizioni politiche e prassi di remunerazione e incentivazione

News

Mar 21 2018

La Banca d’Italia ha sottoposto a consultazione pubblica le modifiche alle politiche e prassi di remunerazione e incentivazione nelle banche e nei gruppi bancari, in vigore dal del 17 dicembre 2013. Lo scopo è quello di adeguarsi al quadro normativo della European Banking Authority (EBA). Queste le principali modifiche:

 Rapporto tra componente variabile e componente fissa:

  • È possibile individuare rapporti differenti (dal 100%, ex-2013, ndr) (entro il limite del 200%) per singoli individui o categorie di personale; in ogni caso, l’individuazione di limiti differenti per soggetti appartenenti a una medesima categoria di personale è eccezionale ed è adeguatamente motivata (2018). Se l’assemblea approva l’aumento del limite, non è necessario negli anni successivi sottoporre alla assemblea una nuova delibera, a condizione che non siano cambiati i presupposti sulla base dei quali l’aumento è stato deliberato.

Remunerazione variabile da riconoscere in strumenti finanziari

  •  La quota di remunerazione variabile riconosciuta in contanti non può eccedere il 50% della remunerazione variabile, né sulla parte up-front né su quella differita;
  • Eliminato l’obbligo di applicare sia alla parte up-front sia a quella differita la stessa proporzione tra contanti e strumenti finanziari;
  • Richiesto che la parte differita sia riconosciuta prevalentemente in strumenti finanziari (piuttosto che in contanti), qualora gli strumenti finanziari vengano utilizzati per una quota superiore al 50% della remunerazione variabile totale;
  • Si fissa in 1 anno (2 anni nel 2013, ndr) la durata minima del periodo di mantenimento di tutti gli strumenti finanziari utilizzati per il pagamento della remunerazione variabile, senza distinguere tra strumenti finanziari pagati upfront e strumenti finanziari differiti.

Remunerazione variabile da sottoporre a differimento

  • L’obbligo di differire almeno il 60% della remunerazione variabile quando questa rappresenta un importo particolarmente elevato si applica a tutto il personale più rilevante, e non soltanto a determinate figure aziendali di vertice come nelle norme vigenti;
  • le banche devono indicare nelle proprie politiche di remunerazione il livello di remunerazione variabile che costituisce un importo particolarmente elevato, applicando i criteri fissati nelle disposizioni.

Retention bonus

  • Remunerazioni il cui riconoscimento dipende dalla permanenza del personale nella banca (c.d. retention bonus): è confermata la natura variabile di questi compensi e sono vietate varie forme di remunerazione variabile garantita nella prassi identificate come “welcome bonus”, “sign- on bonus”, “minimum bonus”, “entry bonus”)
  • Deve essere definito ex ante il periodo di permanenza del personale oppure l’evento al verificarsi del quale può aver luogo il riconoscimento del retention bonus;
  • Il ricorso al retention bonus non deve costituire un mezzo per eludere le regole in materia di collegamento della remunerazione variabile con la performance e con i rischi.

Piani di incentivazione pluriennali (LTIP)

  •  il funzionamento e la durata degli LTIPs devono essere coerenti con gli obiettivi e la durata del piano strategico della banca;
  • il periodo di valutazione della performance (accrual period) deve coprire un arco di tempo futuro pluriennale rispetto all’avvio del piano e, in aggiunta, almeno l’anno precedente l’inizio del piano;
  • gli LTIPs devono essere ancorati a condizioni di performance la cui verifica deve avvenire prima che la remunerazione variabile sia attribuita.

Golden parachute

  • I compensi pattuiti in vista o in occasione della conclusione anticipata del rapporto di lavoro o per la cessazione anticipata dalla carica (golden parachute)  devono essere tali da garantire che il loro riconoscimento sia giustificato dai risultati e dai comportamenti del beneficiario e sia coerente con la situazione economica e finanziaria della banca.

Banche che beneficiano di aiuti di Stato

  • Una banca, se beneficiaria di aiuti di Stato, deve sottoporre tempestivamente a riesame e revisione le proprie politiche di remunerazione, al fine di consentire il loro aggiornamento e la loro coerenza rispetto alla situazione contingente.

Politiche e prassi di remunerazione e incentivazione nelle banche e nei gruppi bancari (PDF)

What to expect from fintech in 2018? A brief global outlook
di Federico Cinque e Alessandro Di Lullo

Articolo

Mar 19 2018
What to expect from fintech in 2018? A brief global outlookdi Federico Cinque e Alessandro Di Lullo

The year 2017 was definitely a record year for Venture Capital-backed fintech featured by $16.6bn raised (Figure 1), 1128 deals executed worldwide and 8 new unicorns (companies with market valuation of $1bn+). While North America surpassed Asia and confirmed its leadership in terms of money raised (after the decline of 2016, Figure 2), Europe experienced the biggest increase with a +121% YoY reaching circa the 17% of the whole funding to VC-backed fintech companies.

 


Figure 1: Annual global fintech deals and funding ($bn) – Source: CB Insights

 

 

Figure 2: Annual funding to VC-backed fintech companies per region ($m) – Source: CB Insights

Interestingly, the fintech space is changing and so are investors’ behaviors. As we can see from the chart below (Figure 3), the global number of Fintech mega-rounds ($100m+) dramatically increased from 2016 (35 vs 16). Investors, especially in the US, are making more concentrated bets.

Figure 3: Annual global number of fintech mega rounds – Source: CB Insights

Looking ahead, what are the main trends to watch in 2018? According to a report recently published by CB Insights, these are:

  • Fintechs unbundling leads to rebundling

Over the last years, Fintech startups have addressed single unserved financial products/services by improving customer experience.  According to CB Insights, 2018 will be characterized by fintech rebundling and will see startups dealing with switching from mono-product to multi-product, leveraging technology for product innovation and opening new investing channels. Notable examples are Credit Karma expanding into tax and Revolut launching a cryptocurrency exchange on its platform.

  • European fintechs will expand their global footprint

Several European banking startups already announced expansion plans. Revolut and N26 are about to kick off their operations in US. Funding Circle announced a strategic partnership with Kansas INTRUST Bank to support growth of US SMEs, and TransferWise is launching its new borderless account that can hold 28 currencies.

  • Banks forgo partnering in favor of fighting fintech with fintech

Banks are finally actively investing in fintech startups across a variety of areas from Blockchain and Data Analytics, to Payments and Financial Services Software.
Interestingly, banks are not only looking to invest in and partner with fintech startups but also working on their own fintech solutions. Marcus, Goldman’s online lending (and deposit) platform, recently hit $2bn in loan originations, just 13 months after its launch. Moreover, 2017 saw the launch of JP Morgan and Morgan Stanley robo-advisors.

  • Wealth management will become the hottest fintech sector in China

According to CB Insights, Wealth Management is on the rise in China. Ant Financial’s Yu’eBao is currently the largest money market fund in the world and Tencent just got a license to sell mutual funds to WeChat’s user. However, VC investments in Chinese wealth tech startups are not as huge as we may think. In fact, only $146m were raised in 2017, suggesting room for strong growth and opportunities for fintech startups able to deliver more comprehensive solutions as the industry undergoes a paradigm shift.

  • Latin America and Southeast Asia will see strong fintech growth

It is not a secret that Fintech has flourished where banking infrastructure is underdeveloped, fulfilling the gaps in traditional banking models. CB Insights suggests that the next great opportunities may lie in Latin America and Southeast Asia. The need for innovative solutions is clear. For example, 40% of Brazilians are currently excluded from traditional banking systems and less than 5% of Indonesians have a credit card. In 2017, Southeast Asia saw $218m invested in fintech (record year) and Latin America saw 38 fintech deals (clearly outpacing Australia and Africa). Alternative lending and blended solutions between fintech and commerce are the hot areas to watch.

  • More companies will look to sell pickaxes amid cryptoasset speculation

2017 has also been the year of Crypto and, while blockchain is still in its very early days, investors and startups have entered the space looking for speculation. More than $4bn have been raised via Initial Coin Offerings in 2017 and Cryptocurrency exchanges such as Coinbase surge in popularity. As crypto speculation continues, more companies will look beyond their initial use cases to enable and expand investment and trading.

  • Capital markets fintech infrastructure becomes a focus area for investment

The next fintech era must rely on a stellar infrastructure to drive innovation in finance. In fact, one of the most urgent need for banks is to revolutionize their IT systems. Aiming at replacing legacy infrastructure, centralizing disparate customer data and creating open banking platforms, banks are very interested in solutions offered by startups like Plaid or Quovo (a data platform that leverages a robust suite of APIs & modular applications to aggregate financial data).

  • Banks deepen their partnerships with regtech

Regtech is on the rise. VC-backed Regtech equity funding reached $1.8bn across 176 deals since 2013 and many predict it will be the next big phenomenon. Regtech finally enables bank to optimize compliance activities, currently very costly and inefficient. Banks such as Santander, Barclays, and Goldman Sachs are some of the earliest to invest in regtech startups. Banks have made investments in products & services that range from identification and background checking software to blockchain and trade monitoring.

  • Insurance tech investment moves to the back-end

Insurtech startups continued to be a hot area for fintech investment in 2017. Global deals rose 16% YoY in 2017 with $8bn invested since 2012. Although most of the funding still go to distribution-focused startups, a crunch may occur as winners emerge. On the other hand, back-end startups are finding more ways into insurers with claims being an area of focus.

  • Amazon is primed to get more aggressive in fintech —outside of the US

Amazon is a great example of how new entrants are taking market shares from traditional players. Amazon has already successfully developed several financial services such as payments, lending and cash deposits in the US and, right now, is looking abroad. The tech giant is betting big on Insurance in Europe and in Payments in growth markets such as India and Mexico. It will be also very interesting to see how the battle with the Chinese Dragons (Tencent and Alibaba) will evolve.

 

EBA: progress in the work of supervisory colleges

News

Mar 18 2018

The European Banking Authority published today its report on the functioning of supervisory colleges in 2017, which summarises the EBA’s assessment of the colleges’ activities against the EBA 2017 Colleges Action Plan and the relevant regulation(s).

Supervisory colleges are the main discussion table for coordination and programming of supervisory activities. The involved parties can share information about the supervised entity, conduct liquidity risk assessment and reach decisions both on the entity’s specific requirements and ad-hoc recovery plans needed.

The EBA identified four key topics worth of supervisory attention for 2017: non-performing loans and balance sheet cleaning, business model sustainability, operational risk (including conduct risk and IT risk) and comparability of risk-weighted assets (RWA). The report also assesses the extent to which these topics have been reflected in the colleges’ work program.

The report concluded that the risk assessment supplied by colleges, although different in granularity, well summarized the evaluation of supervisory activity. Nevertheless, in some colleges, no improvements were observed for what concerns the timely distribution of mandatory annexes, covering capital and liquidity measures.

Considerable ameliorations in the capital and liquidity joint decisions were also observed. The granularity of information underlying the level of capital which was finally required after the joint decisions has improved considerably too, together with the articulation of the Pillar 2 capital requirement.

Significant improvements have thus been achieved over the last couple of years in college interactions, responsiveness, and in the quality, coverage and reasoning of the joint decision documents. Further efforts are however expected both from home and host supervisors to enhance the joint decision processes.

 

Report of the work of supervisory colleges (PDF)

ESA: the benefits and risks of Big Data

News

Mar 18 2018

 The Joint Committee of the European Supervisory Authorities (ESAs) published its final report on Big Data, analyzing their impact on consumers and financial firms. The report results from a consultation conducted between December 2016 and March 2017.

The objectives of the report were firstly to map the phenomenon and assessing the potential risks, and secondly to raise awareness of consumers of their rights in this regard and  to encourage financial institutions to fulfill their obligations in setting the ongoing legislation features.

The main finding is that, despite some potential risk could affect consumers of financial services, the benefits of such innovations should outweigh the detriments. Consumers will profit from more tailored products and services, improved fraud analytics and enhanced efficiency of organisational internal procedures.

They must however be aware of the potential for errors in Big Data tools, which may lead to incorrect decisions being taken by financial service providers. Furthermore, Big Data set on an increasing level of segmentation of customers, which may potentially influence the access and availability of certain financial services or products.

The ESAs will continue to monitor any development in this area, and invite financial firms to develop and implement good practices on the use of Big Data. However, no legislative interventions will be taken at this time, as many of the identified risks are currently mitigated by the existing legislation. The ESAs have created also a factsheet on Big Data, aimed at informing consumers of financial services on the reports’ key findings.

Final report on big Data (PDF)

Factsheet on Big Data (PDF)