Credit Portfolio Management in a downturn - Toolkit and trade-offs to consider
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1 Credit Portfolio Management in a downturn - Toolkit and trade-offs to consider Deutsche Bank seminar Cape Town 27 May 2009 Gert Kruger, Head of Credit Portfolio Management FirstRand Banking Group
2 Contents Credit Portfolio Management vs business management: An analogy Credit Portfolio Management approach at FRBG Available tools and trade-offs to consider in the current cycle
3 Credit Portfolio Management vs business management: An analogy
4 Example: Idealised coffee business Perfect cappuccino Perfect business strategy and management Profitable business
5 The toolkit for a perfect cappuccino contains a series of interrelated elements Perfect cappuccino Various trade-offs exist between the coffee making process and broader business strategy. Processes are interdependent and needs to be aligned
6 Active credit portfolio management approach at FRBG
7 Positioning of CPM in FRBG is to actively management the balance sheet and be the link between business strategy and risk management / finance CPM forms part of a broader Balance Sheet Management function, with responsibility for capital, funding, CPM and macro hedging
8 A number of structural issues in South Africa influence the strategy for CPM
9 The overall book is managed by decomposing it into manageable subcomponents Perform decomposition for each major portfolio subsegment (Corporate/SME, Mortgages, Asset finance, Unsecured credit etc.)
10 FRBG credit portfolio management process Jointly with business and deployed risk managers
11 CPM tools and trade-offs in the current cycle
12 The relationship between debt payment to income (DSC) and impairments has broken down in the current cycle 2.00% 18.00% 16.00% 1.50% 14.00% 12.00% 1.00% 10.00% 8.00% 6.00% 0.50% 4.00% 2.00% 0.00% * 0.00% IMPAIRMENT DEBT SERVICING COST * Interim report
13 CPM tools to change the portfolio structure CPM tools are used to change portfolio in line with risk appetite
14 Scoring, affordability assessment, collateral rules
15 Scoring, affordability and collateral rules are three of the main pillars to control new retail business Credit Policy rules on LTV etc. Scoring output Credit granting Affordability model output Pricing model: Funding, risk, capital, expenses, profit Pricing Competitive market pressures (volume and price) Rate and conditions quoted to the client Processes are interlinked aim to balance accuracy vs efficiency
16 Various types of vintage graphs are used to track effectiveness of origination credit actions Example retail vintage graph: Cumulative defaults per origination year Default Rate 18.00% 16.00% 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Note: Vintage graphs are illustrations only and are not based on the actual results of FRB s portfolio vintages. 9.00% 8.00% 7.00% 6.00% Example retail vintage graph: Default rates per approval quarter Default Rate 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% 2004Q1 2004Q2 2004Q3 2004Q4 2005Q1 2005Q2 2005Q3 2005Q4 2006Q1 2006Q2 2006Q3 2006Q4 2007Q1 2007Q2 2007Q3 2007Q4 2008Q1 2008Q2 2008Q
17 Pipeline efficiency analysis is used to assess competitiveness of broader process Distribution efficiency Credit criteria Pricing and service
18 Targeted portfolio parameters / limits
19 Spot the build-up of the (UK) problem Mortgages > 100% LTV doubled from 4-8% Source: Turner review
20 Portfolio limits aim to limit the build-up of concentrations Target portfolio parameters/limits are articulated for each major portfolio / asset class Sets the outer boundary of the desired targeted portfolio Approved by Retail Credit Committee Items typically covered % of new business with Loan to Value > specified levels (e.g. 100%) % of new business with repayment to income > specified levels % of portfolios with ratings lower than specified boundary levels Targeted aggregate profile Main focus of joint CPM/Business/Credit meetings is to determine tactical responses to the macro environment given the desired target portfolio and limits
21 Hedging existing exposures (single name, macro hedge, structured credit)
22 Structured credit: FRESCO II example Underlying portfolio of 200+ investment grade corporate or FI exposures Obtain insurance R2bn notes issued into the market. FRB retains first loss and super senior. Note: Exposures are still shown on balance sheet for disclosure purposes, with normal provisioning practices still applied. Insurance profile Losses suffered by FRB Insurance received against portfolio losses Losses on the underlying portfolio
23 Broader linkages: Capital, funding, ALM
24 CPM cannot be conducted in isolation need to consider broader linkages Credit portfolio strategy vs funding strategy Credit portfolio strategy vs capital strategy ALM hedging strategy vs credit hedging strategy Consideration of natural hedges Local vs international strategy differences Bank Lending vs Capital markets lending differences Technical linkages Rating models vs IFRS provisions vs Basel II capital estimation and expected loss vs IFRS capital impairments Recovery processes vs downturn LGD estimation Others
25 Concluding remarks
26 Conclusion CPM approach complements traditional credit risk management Explicitly considers the portfolio view and macro linkages Focus on broader linkages, e.g. capital, funding, hedging A variety of tools are available to manage the portfolio Trade-offs always exist between risk and business strategy Combination of science and judgement Current cycle poses particular challenges De-linkages of historical relationships Trade-offs between capital, funding, credit more pronounced CPM and wider BSM approach provides key building blocks to effectively manage these challenges
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