Solvency II: Auswirkungen auf die Kapitalanlage Stephan Funck Goldman Sachs Wien, 16. November 2011

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Agenda

I.

Grundlagen

II. Regulatorische Investititionsanreize, dargestellt anhand eines Modellversicherers und den Spezifikationen von QIS 5

III. Übersicht Marktauswirkungen Zinsmärkte, Kreditmärkte und Aktien/Alternatives

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I.

Grundlagen

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Die neue Solvenzbilanz Eigenkapital

Residuale Größe

Risikomarge

Assets (Barwert)

 beste Schätzung, diskontiert vt.Rückstellungen (Barwert)

Aktiva

 Diskontfaktor basiert auf Swaps und Credit Spreads eines Modellportfolios

Passiva

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Die neue Solvenzbilanz Eigenkapital

Beispiel fallende Zinsen:

Risikomarge

Assets steigen, allerdings weniger als die ebenfalls ansteigenden Verbindlichkeiten

Assets (Zeitwert)

- netto sinkt das Eigenkapital vt.Rückstellungen (Zeitwert)

Aktiva

Passiva

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Die neue Solvenzbilanz Beispiel steigende Zinsen: Eigenkapital

Risikomarge

Assets fallen, allerdings weniger als ebenfalls fallende Verbindlichkeiten - netto steigt das Eigenkapital

Assets (Zeitwert)

vt.Rückstellungen (Zeitwert)

Aktiva

Passiva

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II.

Aufsichtsrechtliche Investititionsanreize, dargestellt anhand eines Modellversicherers und den Spezifikationen von QIS 5

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Modellfall – wenig EK

Eigenkapital

Passiva Assets vt.Rückstellungen (incl. RM)

 Barwert nach S II: 10 Mrd  Duration 10 Jahre  Weder Stornorechte noch Überschussbeteiligung

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Modellfall – viel EK

Eigenkapital

Passiva

Assets vt.Rückstellungen (incl. RM)

 Barwert nach S II: 10 Mrd  Duration 10 Jahre  Weder Stornorechte noch Überschussbeteiligung

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Assets: Rendite u. Kapitalanf.1

Assetklasse

Return über Swaps

SCR Charge

EU Staatsanleihen (10y) AAA

0.0%

0.0%

Aktien

3.0%

39.0%

HY Credit (3y) BB

2.0%

13.5%

Immobilien

1.5%

25.0%

Alternatives

1.5%

49.0%

Investm. grade Credit (3y) A

1.3%

4.2%

Investm. Grade Credit (10y) A

1.3%

14.0%

1

basierend auf den Spezifikationen von QIS 5

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Resultat – bei wenig EK1

1

basierend auf den Spezifikationen von QIS 5

Zeitwert Aktiva

10,3 Mrd.

Zeitwert Passiva

10. Mrd.

SCR Market

300 Mio.

Expected Excess Return

37 Mio.

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Low Solvency Szenario – Anmerkungen Konsequenzen für Versicherer mit wenig Solvenzkapital

Rendite Erwartungen

Volatilität kaum hinnehmbar

 Listed Equity  Hedge Funds  ABS

 Auch kleine Wertänderungen können Probleme bereiten  Mark-to-Model Assets werden insofern attraktiver  ALM Matching und Hedging der realisierte Volatilität sind wichtig  Versicherer benötigen Assets nit niedriger Volatilität Eigenkapital muss generiert werden  Externe Kapitalaufnahme uU. schwierig  Erheblicher Performancedruck bei engem Handlungsspielraum  Notwendigkeit, „Heraus zu wachsen“;Ziel: strategische Flexibilität  Versicherer benötigen renditestarke Assets

 Unlisted Equity  Private Equity

 Mortgage Loans  Funding Trades  Real Estate

Weitgehendes ALM Matching (zur Senkung der Zinsrisiken) Hedging gegen Tail Events (um SCR zu senken) Möglicher Zielkonflikt mit dem Bedarf an ertragstarke Assets Duration von Aktiva u. Passiva muss gematched werden

Vermeidung hoher Capital Charges  Klare Präferenz für Assets mit niedrigem SCR

 Bar-Belled Portfolios  Core EEA Sovereign

Reduzierung der Capital Charges    

 Periphery EEA Sovereigns

Geringe Volatilität

 ALM Matching Niedriges SCR strategies

Versicherer mit wenig Solvenzkapital werden Interesse an illiquiden, ertragsstarken Assets mit niedrigen Capital Charges haben

 Versicherer benötigen Assets mit niedrigem SCR Goldman Sachs does not provide tax, accounting, investment or legal advice to our clients, and all clients are advised to consult with their own advisers regarding any potential investment/transaction. This material is for discussion purposes only, and does not purport to contain a comprehensive analysis of the risk/rewards of any idea or strategy herein. Please note that this document only provides a general description of Solvency II principles. Please refer to European directives and consultation papers for exhaustive and precise regulation rules.

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Resultat – bei viel EK1

Zeitwert Aktiva

14 Mrd.

Zeitwert Passiva

10 Mrd.

SCR Market

4 Mrd.

Expected Excess Return

1

basierend auf den Spezifikationen von QIS 5

350 Mio.

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Asset Allocation

Überblick Investitionsanreize1

1

100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 103%

110%

120% Eigenkapital

EU Government Bonds

Equities

Real Estate

IG Credit (3y)

HY Credit (3y)

Alternatives

basierend auf den Spezifikationen von QIS 5

130%

140% IG Credit (10y)

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III.

Übersicht: Potentielle Marktauswirkungen Zinsmärkte, Kreditmärkte, Aktien/Alternatives

Zinsmärkte Anlage

Positive Faktoren

Negative Faktoren

Tendenz

Staatsanleihen (AA-AAA)

 Kein Spread-Risiko Charge (EEA und hoch geratete Anleihen)

 Basis-Risiko zum Diskontfaktor  Größtenteils unverändert der vt. Rückstellungen  Niedrigere Nachfrage nach Emissionen in Fremwährungen  Flachere Zinskurve falls mehr Durations-Hedging

Staatsanleihen (Niedrigeres Rating, EEA)

 Kein Spread-Risiko Charge wenn EEA. Yield pick-up möglich

 Basis-Risiko zum Diskontfaktor  Höhere Nachfrage der vt. Rückstellungen  Spread Volatilität kostet EK

Staatsanleihen (Niedriges Rating, Andere)

 Niedrigere Spread-Risiko Charge im Vergleich zu Unternehmensanleihen

 Kapitalanforderung  Spread Volatilität kostet EK

Zins-Swaps

 Basis der Abzinsung der Verbindlichkeiten  Niedrige Kapitalkosten für das Kreditrisiko

 Höhere Nachfrage nach Duration-Hedges  Weniger Nachfrage nach ultralanger Duration (Über den “Extrapolations-Punkt” hinaus)

Libor Generators

 Um Floating Legs von Swaps zu generieren  Niedriges SCR  Erlaubt uU Renditen über Staatspapiere

 Höhere Nachfrage könnte teilweise die Allokation in Staatsanleihen ersetzten

Renditeverbesserung, z.B. Wertpapierleihe

 Vorteilhafte regulatorische Behandlung

 Erhöhte Verwendung, auch getrieben von der Nachfrage des Bank-Sektors nach Staatstiteln

Zins-Volatilität

 Eingebettete Optionen auf der Passivseite bedeuten Exposure zur Zinsvolatilität

 Höhere Nachfrage

 Implizierte Swaption Volatilität steigt

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Kreditmärkte Anlage

Positive Faktoren

 Kapitalanforderungen bestrafen lange SpreadDurationen

Langlaufende Unternehmensanleihen

Bond Indizes, iBoxx Namen

Negative Faktoren

 Notwendig, um die Volatilität der LiquiditätsPrämie zu hedgen

CDS  Früher teilweise nicht (long Kredit-Risiko) erlaubt  Potenziell attraktive Kombination mit YieldEnhancement Produkten

Tendenz  Höhere Nachfrage nach Kurzläufern  Spread-Kurve sollte steiler werden

 Höhere Nachfrage

 Kapitalanforderungen höher als für CashAnleihen

 Renditen wahrscheinlich attraktiver als bei CashAnleihen

Senior Secured vs.  Kapitalanforderungen im Standard-Modell Subordinated Debt berücksichtigen weder Besicherung noch Insolvenz Vorrang

 Weniger Nachfrage nach Senior Secured  Höhere Nachfrage nach Subordinated

Hypotheken

 Vorteilhafte regulatorische Behandlung  Stabiler Mark-to-Market

 Höhere Nachfrage  Möglicherweise Nachfrage nach Mortgage Originators

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Aktien/Alternatives Anlage

Positive Faktoren

Negative Faktoren

Tendenz

 Hohe Kapitalforderungen, möglicherweise Währungsrisiken  dynamisches Hedging wird im Standardmodell nicht berücksichtigt1

 Mehr Tail Hedging  Weniger unabgesicherte Positionen  Höhere Nachfrage nach Beta-Aktien  Niedrigere Nachfrage nach Aktien mit niedrigem Beta

Aktien

 Unterlegungspflichten können durch Hedging reduziert werden

Long AktienVolatilität

 Gleicht oft das Exposure der Liability-Seite aus  Kann für Tail-Risk Hedging genutzt werden

 Höhere Nachfrage  Aktien-Volatilität sollte steigen

Hedge Funds

 Look-through erlaubt, die  Stand-alone Charge für HF durch die Kapitalforderungen sehr für die Anlagen des HFs hoch zu ersetzten  Relative Value Strategien sollten eine günstigere Behandlung erfahren

 Erhöhte Nutzung von Managed Account Plattformen  Mehr Relative Value Strategien  Mehr Nachfrage nach HFs mit höherem Leverage

Private Equity

 Niedrige AccountingVolatiilität

 Niedrigere Nachfrage

1

basierend auf den Spezifikationen von QIS 5

 Stand-alone Kapitalkosten sehr hoch

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