Come sviluppare sistemi di rating interni alla luce dei nuovi requisiti normativi

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Published on March 16, 2014

Author: MoodysAnalytics

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Comunicazioni Banda D'Italia, Consob, Ivass e Covip del 22 Luglio 2013.

1. Il panorama regolamentare
2. Rating Implicito vs Rating Tradizionale: Gestione del Rischio nel Rispetto delle Nuove
Normative, a cura di Pablo Barbagallo
3. Uno sguardo al futuro, a cura di Jim Sarrail
4. Q&A

Come sviluppare sistemi di rating interni alla luce dei nuovi requisiti normativi Comunicazioni Banda D'Italia, Consob, Ivass e Covip del 22 Luglio 2013 6 MARZO 2014

Programma 1. Il panorama regolamentare 2. Rating Implicito vs Rating Tradizionale: Gestione del Rischio nel Rispetto delle Nuove Normative, a cura di Pablo Barbagallo 3. Uno sguardo al futuro, a cura di Jim Sarrail 4. Q&A

Il Panorama Regolamentare 1

Crescente pressione regolamentare per definire, applicare e mantenere sistemi interni di rating 4 2009 2009 2011 Direttiva UCITS IV “Undertakings for Collective Investment in Transferable Securities” Obbligo di istituzione di una funzione permanente di gestione del rischio “..non si affidano esclusivamente ai rating del credito” “…incoraggiano tali entità a ridurre l’incidenza di tali riferimenti con l’obiettivo di ridurre l’affidamento esclusivo ai rating del credito” 2012 CRA III Regolamento sulla gestione collettiva del risparmio della Banca d’Italia dell’8 Maggio 2012 2013 “… i gestori procedono ad una rivalutazione dei propri sistemi di gestione del rischio, individuando le esigenze di rafforzamento delle procedure di selezione, monitoraggio e gestione del rischio di credito…” Fondi del mercato monetario dovrebbe "sviluppare sistemi interni di rating" e "[...] condurre stress test annuali" “...limitare il numero di agenzie di Rating...che il rating sia short-term...” “..anche in presenza di rating valuti la qualitá creditizia dello strumento...” Regolamento (CE) n. 1060/2009 relative alle agenzie di rating del credito •Minore affidamento sui rating da parte degli investitori •Regola di rotazione •Misure aggiuntive per il rating del debito sovrano •Responsabilità civile per i CRA Banca D’Italia: Comunicazione del 22- 07-2013 Proposta della Commissione Europea sui fondi comuni monetari

Banca D’Italia, Consob, IVASS e COVIP hanno definito i requisiti regolamentari locali 5 “…effettuano la loro valutazione del rischio di credito e non si affidano esclusivamente o meccanicamente ai rating del credito per la valutazione del merito di credito di un’entità o di uno strumento finanziario”; “Le autorità settoriali competenti incaricate della vigilanza delle entità di cui all’articolo 4, paragrafo 1, primo comma, tenendo conto della natura, della portata e della complessità delle loro attività, controllano l’adeguatezza delle loro procedure di valutazione del rischio di credito, valutano l’utilizzo di riferimenti contrattuali ai rating del credito e, se del caso, incoraggiano tali entità a ridurre l’incidenza di tali riferimenti con l’obiettivo di ridurre l’affidamento esclusivo e meccanico ai rating del credito, in linea con la specifica legislazione settoriale”; Fonte: Banca D’Italia www.bancaditalia.it/vigilanza/normativa/norm_bi/comunicazioni/Rating22lug.pdf -“il Regolamento sulla gestione collettiva del risparmio della Banca d’Italia dell’8 maggio 2012, ...prevede ...che il sistema di gestione dei rischi degli OICR definisca le strategie, le politiche, i processi e i meccanismi riguardanti l’individuazione, l’assunzione, la sorveglianza, l’attenuazione dei rischi ...Le SGR sono chiamate a definire, applicare e mantenere disposizioni interne, tecniche di misurazione e procedure per assicurare il corretto funzionamento del sistema di gestione dei rischi degli OICR;

Rating Implicito vs Rating Tradizionale: Gestione del Rischio nel Rispetto delle Nuove Normative2

Rating Impliciti vs Rating tradizionali 7 Quali sono le differenze fra i Rating impliciti e tradizionali? Ratings delle agenzie Rating impliciti o EDF  Qualitativo e a volte soggettivo  Ranking per classi per es. Aaa, Aa1, ecc.  Società diverse nello stesso gruppo  Stabile o “through the cycle”  Quantitativo ed oggettivo  Misura anche livelli numerici o “assoluti” di rischio per es. 5.01%  Granulare per es. 5.01% vs. 5.02%  Molto dinamico, aggiornamenti giornalieri  Analisi quantitativo – Possibilià di “What-if Analysis”  Informazioni provenienti da tutte le fonti disponibili: bilanci, prezzi di mercato, ecc.

Rating Impliciti vs Rating tradizionali Equivalent Median  EDF Credit Measure Lower Upper Ba1 0.08% 0.07% 0.09% Ba2 0.10% 0.09% 0.11% Ba3 0.14% 0.11% 0.16% B1 0.19% 0.16% 0.23% B2 0.27% 0.23% 0.38% B3 0.52% 0.38% 0.71% Caa1 0.97% 0.71% 1.32% Caa2 1.81% 1.32% 2.32% Caa3 2.97% 2.32% 4.87% Ca 7.97% 4.87% 35.00% C 35.00% 35.00% 35.00% Implied Rating Bound Range Equivalent Median  EDF Credit Measure Lower Upper Aaa 0.01% 0.01% 0.01% Aa1 0.02% 0.01% 0.02% Aa2 0.02% 0.02% 0.02% Aa3 0.02% 0.02% 0.02% A1 0.03% 0.02% 0.03% A2 0.03% 0.03% 0.03% A3 0.04% 0.03% 0.04% Baa1 0.05% 0.04% 0.05% Baa2 0.06% 0.05% 0.06% Baa3 0.07% 0.06% 0.07% Implied Rating Bound Range Rating implicito aggiornati periodicamente 8 Per società quotate le mapping tables vengono aggiornate mensilmente. Mapping tables non limitate ai ratings Moody’s.

Rating Impliciti vs Rating tradizionali 9 Expected Default Frequency

Rating Impliciti vs Rating tradizionali 10 Società quotate in Borsa

Rating Impliciti vs Rating tradizionali 11 Modello Quantitativo CreditEdge e’ un modello econometrico che calcola la probabilita’ di default (PD) o EDF di società quotate. CreditEdge si basa sulla teoria delle opzioni (Black-Scholes-Merton) e l’analisi empirica per calcolare la PD o EDF (Expected Default Frequency) di societa’ quotate.

Rating Impliciti vs Rating tradizionali 12 EDF Credit Measure for Public Firms » EDF stands for Expected Default Frequency – the probability that a firm will default within a given time horizon by failing to make an interest or principal payment. » We provide EDF measures for time horizons of 1 to 10 years. » EDF Ranges from 0.01% to 35%, i.e., 1 to 3500 basis points.

Rating Impliciti vs Rating tradizionali 13 EDF Methodology Summary Market Value of Assets Asset Volatility Default Point Distance to Default DD-EDF Mapping EDF Equity is a Call Option on the Assets. Solve for Market Value of Assets and Asset Volatility. Market Value of Equity Amount of Short and Long Term Liabilities Amount of Short/Long Term Liabilities determine Default Point Distance to Default is the cushion between Market Value of Assets and Default Point, expressed as a multiple of Asset Volatility. MKMV’s Default Database is used to empirically map DD to EDF. EDF is the probability that the firm will default within the specified time horizon. Implied Rating

Rating Impliciti vs Rating tradizionali When do Firms Default? 14 Market Value of Assets Default Point On November 26, 2008, Woolworths Group PLC, a hundred-year-old UK retailer, appointed Deloitte as the administrator and would look for a buyer for all parts of its business. Default

Rating Impliciti vs Rating tradizionali When do Firms Default? 15 Market Value of Assets Default Point Default Woolworths entered into administration when the AVL reached the DPT. The firm’s EDF started rising in August 2007, 13 months prior to the Default.

Rating Impliciti vs Rating tradizionali 16 Market Value of Assets Today Time Value Calcolo della Distance-to-Default (in breve) Distribution of Market Value of Assets at Horizon (1 Year) EDF™ 1 Year Expected Market Value of Assets Default Point Asset Volatility (1 Standard Deviation) σ Distance-to-Default (DD) Distance-to-Default (DD) ≈ The number of Standard Deviations the Market Value of Assets is away from the Default Point

Rating Impliciti vs Rating tradizionali 17 A side-by-side comparison of a strong and a weak company illustrates the interplay between an EDF and its drivers EDFs and key inputs for Johnson & Johnson and RadioShack (as of July 2013) Metric/Input J&J RadioShack Default Point (100% of STD +50% of LTD) $37bn $1,095mn Market Value of Assets $306bn $1,531mn Market Legerage (DP/MVA) 12% 72% Asset Volatility 9% 20% 1yr EDF 0.01% 6.96% EDF-IR Aaa Caa3 MIS Rating Aaa Caa2

Rating Impliciti vs Rating tradizionali 18 J&J is a very low risk company, combining a large gap between its MVA and Default Point and minimal asset volatility Time $0 $200bn $100bn DP = $37bn MVA $306bn July 2013 July 2014 $400bn $500bn Key drivers of J&J’s EDF No. of Std. Dev. % Probability "Normal Dist" PD 1 68% 2 96% 3 99.7% 4 99.993666% 5 99.9999426697% 6 99.9999998027% <0.01%6 99.9999998027% <0.01%

Rating Impliciti vs Rating tradizionali 19 RadioShack is a very high risk company, combining a small gap between its MVA and Default Point and excessive asset volatility Time$0 $1,300mn $500mn DP $1,095mn MVA $1,531mn July 2013 July 2014 $2,500mn Key drivers of RSH’s EDF No. of Std. Dev. % Probability "Normal Dist" PD 1 68% $2,000mn 2 96%1.X 96% >2%

Rating Impliciti vs Rating tradizionali Come tradurre la Distance-to-Default in un EDF e Rating implicito » EDFs are derived from an empirical mapping of DDs to historical default rates » Public firm EDFs were calibrated using US corporates from 1980 to 2007, including over 8,000 defaults. This is being extended to take into account the more recent experience. DD = 4 maps to a 0.003% PD in the simple BSM model, but to a 0.4% EDFTM metric Note: the EDF-DD curve in the graph is a stylized representation of the actual DD to EDF mapping function 20

Rating Impliciti vs Rating tradizionali 21 CDS-Implied-EDF

January 2013 The SIEDF model: two model components The SIEDF model has two components 22 CDS Term Structure for an Entity Physical Default Probability Risk Neutral Default Probability Component 1 a Weibull Hazard Rate Model Component 2 a One-factor Model for Asset Value Dynamics

January 2013 Estimating Sovereign CDS-I EDFS 23 » CDS-Implied EDF credit measures are estimated in exactly the same manner as described above, with the following two assumptions: – We assume a 25% recovery rate (75% LGD) in the event of default for sovereigns – Physical default probabilities for sovereigns are calculated assuming the US investment-grade or high-yield market price of risk » Although there have been many sovereign defaults in the past several decades, there are very few since the advent of the CDS market – Realized recovery rate data for the last decade is scarce – We can look at CDS contracts to infer recovery/LGD rates » The assumption of using the US investment-grade or high-yield market price of risk for all sovereigns is supported by our own research, as well as some academic research (e.g. Longstaff, Pan, Pederson, and Singleton (2008)*). * “How Sovereign is Sovereign Credit Risk,” NBER Working Paper No. 13658

January 2013 Italy: CDS-I-EDF 24

January 2013 Spain: CDS-I-EDF 25

Rating Impliciti vs Rating tradizionali Tutti i modelli e le analisi sono trasparenti 26

Rating Impliciti vs Rating tradizionali Uno sguardo al futuro 3

Rating Impliciti vs Rating tradizionali Scenari Macro-economici 28 Stronger Near-Term ReboundS1 S2 Mild Second Recession S3 Deeper Second Recession Protracted SlumpS4 Baseline / Most LikelyBL Standard Below Trend Long Term GrowthS5 Oil Price ShockS6 Fed BaselineFB Fed Adverse ScenarioFA EC-EBA BaselineEB EC-EBA AdverseES Regulatory Driven PRA-BoE BaselineUKB Fed Severely AdverseFS PRA-BoE SevereUKS PRA-BoE IdiosyncraticUKS

Rating Impliciti vs Rating tradizionali 29 Firm- level effects Industry-level effects Aggregate-level effects Idiosyncratic risk matters Industry- & credit quality- specific sensitivities to macro drivers Rank order of firms varies with economic conditions Shape of economy-wide distribution of credit risk varies with economic conditions Stress Testing of PDs

Rating Impliciti vs Rating tradizionali 0.00 0.05 0.10 0.15 0.20 0.00 0.05 0.10 0.15 0.20 Baseline vs. recession scenarios Source: Moody’s Analytics Current PD FuturePD Baseline Scenario Recession Scenario 30 Stress Testing of PDs

Rating Impliciti vs Rating tradizionali Firm-Level Stressed EDF Measure Examples BL S1 S2 S3 S4 Source: Moody’s Analytics, September 2013

Rating Impliciti vs Rating tradizionali 32 Società non quotate

Rating Impliciti vs Rating tradizionali Analisi Quantitativo e Qualitativo

Rating Impliciti vs Rating tradizionali Output: 1-year e 5-year EDF: probabilità di default a 1 e a 5 anni. Bond Default Rate Mapping: is the agency rating whose historical average default rate best matches RiskCalc’s EDF Percentile: values (1-100%) rank the firm’s EDF relative to the EDF of the companies used to develop the model

Rating Impliciti vs Rating tradizionali Analisi indici di bilancio

Rating Impliciti vs Rating tradizionali 36 Moody’s Alpha Factor

Rating Impliciti vs Rating tradizionali EDFs alone don’t equate to credit spreads, of course. However, they are a key component of our modeled bond-level FVS. Correlation of Co. asset value to market Market Risk Premium (broad market) Expected LGD (sector and seniority-based) Company EDF FVS A simplified/stylistic view of the FVS model at the bond level l ln= 37 Company size Term of the bond Expected Loss MktPriceof Risk Co. Size Factor

Rating Impliciti vs Rating tradizionali 38 The principal bond selection criterion for the model portfolios is the issues’ Alpha Factors A Bond’s Alpha Factor = OAS/FVS » The Alpha Factors for a given month are based on values from the previous month Investment Universe: » A member of ML Euro Investment Grade or Sterling Investment Grade Indices » Sold by a publicly traded company with a Moody’s Analytics EDF credit measure » Rated by Moody’s or S&P

Rating Impliciti vs Rating tradizionali The euro IG model portfolio had positive excess returns in 64% of the months, with a bias towards strongly positive months 39 Count of Euro investment grade model portfolio excess returns by month (1/07-2/2014) 0 1 2 3 4 5 6 7 8 9 10 <=-21 -20 - -11 -10 - -5 -4 - 0 1 - 4 4 - 7 8 - 10 11 - 15 16 - 24 25 - 32 33 - 80 81>= Count ←Underperform Outperform →Monthly ExcessReturn (bp)

Rating Impliciti vs Rating tradizionali The euro IG model portfolio has outperformed strongly on a cumulative basis 40 Euro IG performance vs. the ML Euro IG Corp Index (2007-2014) 80% 100% 120% 140% 160% 80% 100% 120% 140% 160% Dec06 May08 Oct09 Mar11 Aug12 Jan14 Alpha Factor Portfolio ML EUIG Jan07 Average Return Standard Deviation Sharpe Ratio AF portfolio 6.6 3.9 1.4 Benchmark 4.9 4.1 0.9

Rating Impliciti vs Rating tradizionali Many new issues are sold with OAS than are less than their FVS 41 FVS vs. OAS for € , CHF new issues, 1Q 2013 (€500 minimum for Euro) 0 10 0 2 0 0 3 0 0 4 0 0 5 0 0 6 0 0 0 1 2 3 4 5 6 7 8 0 200 400 600 800 0 200 400 600 FI Corp FairValueSpread(bp) OAS(bp)

Q&A 42

Pablo Barbagallo Pablo.barbagallo@moodys.com Luca D’Amico Luca.damico@moodys.com Jim Sarraill Jim.sarraill@moodys.com moodysanalytics.com

© 2014 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved. CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. (“MIS”) AND ITS AFFILIATES ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND CREDIT RATINGS AND RESEARCH PUBLICATIONS PUBLISHED BY MOODY’S (“MOODY’S PUBLICATIONS”) MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL, FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE. MOODY’S CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT INTENDED FOR USE BY RETAIL INVESTORS AND IT WOULD BE RECKLESS FOR RETAIL INVESTORS TO CONSIDER MOODY’S CREDIT RATINGS OR MOODY’S PUBLICATIONS IN MAKING ANY INVESTMENT DECISION. IF IN DOUBT YOU SHOULD CONTACT YOUR FINANCIAL OR OTHER PROFESSIONAL ADVISER. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY LAW, INCLUDING BUT NOT LIMITED TO, COPYRIGHT LAW, AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY’S PRIOR WRITTEN CONSENT. All information contained herein is obtained by MOODY’S from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. MOODY'S adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources MOODY'S considers to be reliable including, when appropriate, independent third-party sources. However, MOODY’S is not an auditor and cannot in every instance independently verify or validate information received in the rating process or in preparing the Moody’s Publications. To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability to any person or entity for any indirect, special, consequential, or incidental losses or damages whatsoever arising from or in connection with the information contained herein or the use of or inability to use any such information, even if MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers is advised in advance of the possibility of such losses or damages, including but not limited to: (a) any loss of present or prospective profits or (b) any loss or damage arising where the relevant financial instrument is not the subject of a particular credit rating assigned by MOODY’S. To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liability for any direct or compensatory losses or damages caused to any person or entity, including but not limited to by any negligence (but excluding fraud, willful misconduct or any other type of liability that, for the avoidance of doubt, by law cannot be excluded) on the part of, or any contingency within or beyond the control of, MOODY’S or any of its directors, officers, employees, agents, representatives, licensors or suppliers, arising from or in connection with the information contained herein or the use of or inability to use any such information. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY MOODY’S IN ANY FORM OR MANNER WHATSOEVER. MIS, a wholly-owned credit rating agency subsidiary of Moody’s Corporation (“MCO”), hereby discloses that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MIS have, prior to assignment of any rating, agreed to pay to MIS for appraisal and rating services rendered by it fees ranging from $1,500 to approximately $2,500,000. MCO and MIS also maintain policies and procedures to address the independence of MIS’s ratings and rating processes. Information regarding certain affiliations that may exist between directors of MCO and rated entities, and between entities who hold ratings from MIS and have also publicly reported to the SEC an ownership interest in MCO of more than 5%, is posted annually at www.moodys.com under the heading “Shareholder Relations — Corporate Governance — Director and Shareholder Affiliation Policy.” For Australia only: Any publication into Australia of this document is pursuant to the Australian Financial Services License of MOODY’S affiliate, Moody’s Investors Service Pty Limited ABN 61 003 399 657AFSL 336969 and/or Moody’s Analytics Australia Pty Ltd ABN 94 105 136 972 AFSL 383569 (as applicable). This document is intended to be provided only to “wholesale clients” within the meaning of section 761G of the Corporations Act 2001. By continuing to access this document from within Australia, you represent to MOODY’S that you are, or are accessing the document as a representative of, a “wholesale client” and that neither you nor the entity you represent will directly or indirectly disseminate this document or its contents to “retail clients” within the meaning of section 761G of the Corporations Act 2001. MOODY’S credit rating is an opinion as to the creditworthiness of a debt obligation of the issuer, not on the equity securities of the issuer or any form of security that is available to retail clients. It would be dangerous for “retail clients” to make any investment decision based on MOODY’S credit rating. If in doubt you should contact your financial or other professional adviser.

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