Roar Hoff

Leder av Konsern-ICAAP og Gjenopprettingsplan

Oslo, 7. desember 2017

Gjenopprettingsplan – DNBs erfaringer

Lik konkurranse krever full harmonisering av systemet

Ansvarlig kapital

Risikovektet

beregningsgrunnlag (RWA)

Kapitaldeknings-

grad

Like definisjoner

Harmonisert risikomåling

Konsistent bruk av buffer-

system i alle jurisdiksjoner

Harmoniserte avviklingssystem

Gjenopprettingsplanlegging i DNB

Januar 2013

Desember 2013

April 2014

August 2014

August (årlig)

EBA og Finanstilsynet initierer prosess

Første versjon av planen ferdigstilt

Tilbakemelding første versjon av planen

Andre versjon av planen ferdigstilt

Årlig oppdatering sendes Finanstilsynet

DNBs gjenopprettingsplan består av seks kapitler

4

Governance

Strategic analysis

Scenarios

Recovery options

Preparatory measures

Communication plan

▪ 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

▪ Identification and assessment of possible recovery options

▪ Changes and actions to facilitate effective recovery

▪ Internal and external communication plan

▪ Communication guidelines for the various recovery options

1

3

4

5

6

2

Fire kategorier gjenopprettingstiltak

5

Egenkapitalemisjon

Salg av porteføljer Andre tiltak

Salg av datterselskaper

Styringsgruppe

Tverrfaglig sammensatt prosjektgruppe

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Prosjektgruppe

▪ Risikostyring Konsern

▪ M&A

▪ Finansiell styring/regnskap

▪ Juridisk

▪ Treasury

▪ Stresstesting

▪ IT Teknologi og leverandørsstyring

▪ Chief Risk Officer

▪ Chief Financial Officer

▪ Leder av DNB Markets

Økende omfang – Konstruktiv dialog med DNB-kollegiet og Finanstilsynet

7

160175

182

270

204

2013 2014 2015 2016 2017

EU-snitt: 403 sider*

5

3

9

8

2013 2014 2015 2016

Planen inklusive vedlegg - antall sider Tilbakemeldinger - antall sider

* ECB, Benchmarking of Recovery Plans (2016 plans assessed in 2017)

Sentrale elementer i tilbakemeldingene

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1 2 3

Indikatorer

▪ Antall

▪ Kalibrering

Strategisk analyse

▪ Datterselskaper i utlandet

▪ Kritiske funksjoner

▪ “Core business lines”

Scenarier

▪ Rekkefølge på tiltak

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Gjenopprettingsbegrepet har utviklet seg

Pre-2017 2017

Stort fokus på indikatorer

10

• Total Capital Ratio

• Liquidity Coverage Ratio

• Solvency Ratio (DNB Liv)

• Rating downgrade

• Price/book

• 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 non-

performing loans

• Coverage ratio

• Price/book

• Rating downgrade

• GDP variations

• National credit rating

downgrade

• 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 non-

performing loans

• Coverage ratio

• Expected loss

• Price/book

• Rating downgrade

• GDP variations

• National credit rating

downgrade

• 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 non-

performing loans

• Coverage ratio

• Expected loss

• Price/book

• Rating downgrade

• GDP variations

• National credit rating

downgrade

2013-14:

Recovery indicators

2015:

Recovery indicators

2016: Recovery &

Conservation indicators

2017: Recovery plan

indicators

Hva er riktig indikatornivå for kapitaldekning?

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4,5

1,5

2.0

1,6

5

2,5

1,5

Capital requirements Escalation phase

Min. CET1

T2

AT1

Pillar 2

Conservation

buffer

National buffer

requirements

Early

intervention

Min.

requirements

Conservation &

Recovery

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 and possible trigger levels

1