Gjenopprettingsplan DNBs erfaringer Roar Hoff Leder av Konsern-ICAAP og Gjenopprettingsplan Oslo, 7. desember 2017
Lik konkurranse krever full harmonisering av systemet Like definisjoner Konsistent bruk av buffersystem i alle jurisdiksjoner Ansvarlig kapital Risikovektet beregningsgrunnlag (RWA) Kapitaldekningsgrad Harmonisert risikomåling Harmoniserte avviklingssystem
Gjenopprettingsplanlegging i DNB Januar 2013 EBA og Finanstilsynet initierer prosess Desember 2013 Første versjon av planen ferdigstilt April 2014 Tilbakemelding første versjon av planen August 2014 Andre versjon av planen ferdigstilt August (årlig) Årlig oppdatering sendes Finanstilsynet
DNBs gjenopprettingsplan består av seks kapitler 1 2 3 Governance Strategic analysis Scenarios Integration in overall corporate governance and risk management Recovery indicators Roles and responsibilities Legal and financial structure Core business lines Critical functions Specific scenarios of financial stress 4 Recovery options Identification and assessment of possible recovery options 5 Preparatory measures Changes and actions to facilitate effective recovery 6 Communication plan Internal and external communication plan Communication guidelines for the various recovery options 4
Fire kategorier gjenopprettingstiltak Egenkapitalemisjon Salg av datterselskaper Salg av porteføljer Andre tiltak 5
Tverrfaglig sammensatt prosjektgruppe Prosjektgruppe Styringsgruppe Risikostyring Konsern M&A Finansiell styring/regnskap Juridisk Treasury Stresstesting IT Teknologi og leverandørsstyring Chief Risk Officer Chief Financial Officer Leder av DNB Markets 6
Økende omfang Konstruktiv dialog med DNB-kollegiet og Finanstilsynet Planen inklusive vedlegg - antall sider Tilbakemeldinger - antall sider EU-snitt: 403 sider* 270 9 8 204 160 175 182 5 3 2013 2014 2015 2016 2017 2013 2014 2015 2016 * ECB, Benchmarking of Recovery Plans (2016 plans assessed in 2017) 7
Sentrale elementer i tilbakemeldingene 1 2 3 Indikatorer Antall Kalibrering Strategisk analyse Datterselskaper i utlandet Kritiske funksjoner Core business lines Scenarier Rekkefølge på tiltak 8
Gjenopprettingsbegrepet har utviklet seg Pre-2017 2017
Stort fokus på indikatorer 2013-14: Recovery indicators Total Capital Ratio Liquidity Coverage Ratio Solvency Ratio (DNB Liv) Rating downgrade Price/book 2015: Recovery indicators CET 1 ratio Total Capital Ratio Leverage Ratio Solvency Ratio (DNB Liv) Liquidity Coverage Ratio Net Stable Funding Ratio Cost of wholesale funding Return on Equity Significant operational losses Growth rate of nonperforming loans Coverage ratio Price/book Rating downgrade GDP variations National credit rating downgrade 2016: Recovery & Conservation indicators CET 1 ratio Total Capital Ratio Leverage Ratio Solvency Ratio (DNB Liv) Liquidity Coverage Ratio Net Stable Funding Ratio Cost of wholesale funding Return on Equity Significant operational losses Growth rate of nonperforming loans Coverage ratio Expected loss Price/book Rating downgrade GDP variations National credit rating downgrade 2017: Recovery plan indicators CET 1 ratio Total Capital Ratio Leverage Ratio Solvency Ratio (DNB Liv) Liquidity Coverage Ratio Net Stable Funding Ratio Cost of wholesale funding Qualitative assessment of the funding situation Return on Equity Significant operational losses Growth rate of nonperforming loans Coverage ratio Expected loss Price/book Rating downgrade GDP variations National credit rating downgrade 10
Hva er riktig indikatornivå for kapitaldekning? Pillar 2 T2 AT1 Capital and possible trigger levels Conservation buffer National buffer requirements Min. CET1 1,5 2,5 5 1,6 2.0 1,5 4,5 Conservation & Recovery Early intervention Min. requirements BRRD on Early Intervention: Where an institution infringes or, due inter alia to a rapidly deteriorating financial condition, including deteriorating liquidity situation, increasing level of leverage, non-performing loans or concentration of exposures, as assessed on the basis of a set of triggers, which may include the institution's own funds requirement plus 1.5 percentage points EBA Guidelines on Recovery Plan Indicators (2015): The thresholds for indicators based on regulatory capital requirements should be calibrated by the institution at adequate levels in order to ensure a sufficient distance from a breach of the capital requirements applicable to the institution (including minimum own funds requirements and additional own funds requirements but without taking into account any buffer requirements set out in Chapter 4 of Title VII of Directive 2013/36/EU). Capital requirements Escalation phase 11